Endogenizing Model Risk to Quantile Estimates
Year of publication: |
2010-07
|
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Authors: | Alexander, Carol ; Sarabia, Jose Maria |
Institutions: | Henley Business School, University of Reading |
Subject: | Quantile risk measures | model risk | maximum entropy | generalized beta normal (GBN) distributions | generalized beta generated (GBG) distributions | Value-at-Risk (VaR) | risk capital | S&P 500 index | GARCH | RiskMetrics |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number icma-dp2010-07 |
Classification: | C1 - Econometric and Statistical Methods: General ; C19 - Econometric and Statistical Methods: General. Other ; C51 - Model Construction and Estimation ; G17 - Financial Forecasting ; G28 - Government Policy and Regulation |
Source: |
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